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PRICING MULTI-ASSET DERIVATIVES WITH REGIME-SWITCHING VOLATILITIES
Kum-Hwan Roh 충청수학회 2014 충청수학회지 Vol.27 No.2
In this paper we provide a valuation method for multi- asset derivatives with single jump regime-switching volatilities. We suppse that volatilities of assets are a??ected by an n-dimensional independent Markov regime-switching process.
ROH, KUM-HWAN,LEE, HUI YOUNG,KIM, YOUNG ROK,KANG, JUNG YOOG The Korean Society for Computational and Applied M 2018 Journal of applied mathematics & informatics Vol.36 No.3
In this paper, we introduce various first order (p, q)-difference equations. We investigate solutions to equations which are linear (p, q)-difference equations and nonlinear (p, q)-difference equations. We also find some properties of (p, q)-calculus, exponential functions, and inverse function.
AN OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH CES UTILITY AND NEGATIVE WEALTH CONSTRAINTS
Roh, Kum-Hwan The Youngnam Mathematical Society 2018 East Asian mathematical journal Vol.34 No.3
We investigate the optimal consumption and portfolio strategies of an agent who has a constant elasticity of substitution (CES) utility function under the negative wealth constraint. We use the martingale method to derive the closed-form solution, and we give some numerical implications.
PRICING COMMODITY FUTURES CONTRACTS WITH A REGIME-SWITCHING MODEL
Roh, Kum-Hwan Chungcheong Mathematical Society 2013 충청수학회지 Vol.26 No.4
In this paper we present one factor model of commodity prices with a single jump regime-switching process. And we derive an analytic formula for pricing futures contracts when the parameters of commoditiy process have governed by a Markov regime-switching process.
Variance Swap Pricing with a Regime-Switching Market Environment
Kum-Hwan Roh 한국경영과학회 2013 Management Science and Financial Engineering Vol.19 No.1
In this paper we provide a valuation formula for a variance swap with regime switching. A variance swap is a forward contract on variance, the square of realized volatility of the underlying asset. We assume that the volatility of underlying asset is governed by Markov regime-switching process with finite states. We find that the proposed model can provide ease of calculation and be superior to the models currently available.
ROH, KUM-HWAN The Korean Society for Computational and Applied M 2018 Journal of applied mathematics & informatics Vol.36 No.3
I obtain the optimal portfolio and consumption strategies of an investor who have a Cobb-Douglas utility function. And I assume that there is negative wealth constraints. This constraints mean that the investor can borrow partially against her future labor income.
An optimal consumption and investment problem with quadratic utility and negative wealth constraints
Roh, Kum-Hwan,Kim, Ji Yeoun,Shin, Yong Hyun Springer International Publishing 2017 Journal of inequalities and applications Vol.2017 No.1
<P>In this paper, we investigate the optimal consumption and portfolio selection problem with negative wealth constraints for an economic agent who has a quadratic utility function of consumption and receives a constant labor income. Due to the property of the quadratic utility function, we separate our problem into two cases and derive the closed-form solutions for each case. We also illustrate some numerical implications of the optimal consumption and portfolio.</P>
PRICING MULTI-ASSET DERIVATIVES WITH REGIME-SWITCHING VOLATILITIES
Roh, Kum-Hwan Chungcheong Mathematical Society 2014 충청수학회지 Vol.27 No.2
In this paper we provide a valuation method for multi-asset derivatives with single jump regime-switching volatilities. We suppse that volatilities of assets are affected by an n-dimensional independent Markov regime-switching process.
Effects of Hydralazine Pretreatment on Esmolol-induced Controlled Hypotension during Spine Surgery
( Kum Suk Park ),( Young Jin Roh ),( Jong Su Kim ),( Sang Hwan Do ) 대한마취과학회 2006 Korean Journal of Anesthesiology Vol.50 No.6
Background: Controlled hypotension improves surgical field and decreases transfusion requirement in surgical patients and can be induced with various kinds of drugs including esmolol and hydralazine. Methods: This study examined the effect of a combination of esmolol and hydralazine as hypotensive agents in spine surgery. In the esmolol group (n = 15), after boluses of esmolol (0.5 mg/kg) injection, esmolol was infused to maintain the mean arterial pressure of 55-65 mmHg. In the hydralazine-esmolol group (n = 15), hydralazine (0.3 mg/kg) was administered 15 minutes before esmolol injection which was done in the same way as that of the esmolol group. Results: The mean arterial pressure decreased to the target range more rapidly in the hydralazine-esmolol group. The heart rate was increased by hydralazine, but reduced by esmolol. The cardiac output remained elevated after hydralazine injection in the hydralazine-esmolol group, and decreased significantly by esmolol in the esmolol group. The administered dose of esmolol was much less in the hydralazine-esmolol group than in the esmolol group. Conclusions: Our data suggest that hydralazine can enhance the efficacy of esmolol-induced controlled hypotension. It can reduce the requirement of esmolol and maintain a higher cardiac output during hypotension. (Korean J Anesthesiol 2006; 50: S 31~5)
Namkyung Lee,Kum-Hwan Roh 한국전산응용수학회 2021 Journal of Applied and Pure Mathematics Vol.3 No.5
In this paper, we obtain the optimal portfolio, consumption and voluntary retirement strategies of an investor with subsistence consumption constraints. And we apply subsistence consumption constraints to the investor's lifetime.